Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0431
Annualized Std Dev 0.1925
Annualized Sharpe (Rf=0%) -0.2240

Row

Daily Return Statistics

Close
Observations 3012.0000
NAs 1.0000
Minimum -0.0642
Quartile 1 -0.0070
Median 0.0000
Arithmetic Mean -0.0001
Geometric Mean -0.0002
Quartile 3 0.0069
Maximum 0.0698
SE Mean 0.0002
LCL Mean (0.95) -0.0005
UCL Mean (0.95) 0.0003
Variance 0.0001
Stdev 0.0121
Skewness 0.0273
Kurtosis 2.2007

Downside Risk

Close
Semi Deviation 0.0086
Gain Deviation 0.0081
Loss Deviation 0.0081
Downside Deviation (MAR=210%) 0.0139
Downside Deviation (Rf=0%) 0.0086
Downside Deviation (0%) 0.0086
Maximum Drawdown 0.6338
Historical VaR (95%) -0.0193
Historical ES (95%) -0.0274
Modified VaR (95%) -0.0194
Modified ES (95%) -0.0277
From Trough To Depth Length To Trough Recovery
2009-11-27 2020-03-20 NA -0.6338 2761 2509 NA
2008-12-18 2009-03-05 2009-09-09 -0.2468 182 52 130
2008-11-26 2008-12-01 2008-12-10 -0.0572 10 3 7
2009-10-23 2009-11-03 2009-11-25 -0.0446 24 8 16
2009-09-23 2009-10-01 2009-10-13 -0.0368 15 7 8

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA NA NA NA NA NA NA -1.3 -1.2 -2.4
2009 -2.9 -0.6 -0.7 0.3 0.5 1.3 2.8 -1.6 -1.2 -1.2 0.7 -0.5 -3.1
2010 0.6 -0.9 0.9 1.2 -0.6 4.9 -0.4 1.7 2.2 -0.5 2.3 1.5 13.3
2011 2 -0.4 0.8 0.1 -0.6 0.4 -1.6 -1.5 -2.3 -2.4 0.5 -0.4 -5.5
2012 1.1 -0.3 0.9 -0.2 0.8 3.2 -1 1.5 1.5 -0.6 0.4 -0.2 7.4
2013 1.2 -0.6 0.2 0.5 -1.6 2.1 -0.1 -0.3 0.2 -1.1 0.2 -0.2 0.4
2014 -1 1.1 -0.7 -0.5 0.1 -0.4 0.2 -0.6 0.4 -1.2 1.3 -0.9 -2.1
2015 -0.6 0 0.2 -0.4 -1.1 -1.9 0.8 1.6 0.6 0.4 1.1 -1.2 -0.6
2016 0.8 -0.4 0 1.9 1.2 1 -0.4 0.8 0.3 1.4 1.4 0.7 9
2017 -0.7 -1.3 0.1 0.1 -0.6 -0.4 -0.2 -0.8 0.5 -0.5 0.2 0.9 -2.8
2018 1.5 0.9 -0.3 -1.4 -0.7 1.7 -0.6 -1.2 -0.6 1.5 -1.3 0.4 -0.1
2019 0.2 -0.3 -0.3 -0.6 0.6 -1.5 0.4 -1.6 0.7 0.4 0.4 0 -1.6
2020 1 0.5 -1.4 0.4 0.8 0.2 -1.3 -0.7 0.5 -0.8 3 -1.3 0.8
2021 -1 -0.6 0.3 NA NA NA NA NA NA NA NA NA -1.3

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart